动态随机一般均衡模型的预期形成、金融摩擦和预测性能

Oliver Holtemöller, Christoph Schult
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引用次数: 8

摘要

在本文中,我们记录了估计的基本动态随机一般均衡(DSGE)模型的预测性能,并将其与考虑替代期望形成假设和金融摩擦的扩展版本进行了比较。我们还展示了标准模型特征(如价格和工资刚性)如何有助于预测业绩。结果表明,替代期望形成行为和金融摩擦都不能系统地提高基本DSGE模型的预测性能。金融摩擦只有在金融危机期间才能改善预测。然而,传统的价格和工资刚性系统地帮助提高预测性能。
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Expectation Formation, Financial Frictions, and Forecasting Performance of Dynamic Stochastic General Equilibrium Models
In this paper, we document the forecasting performance of estimated basic dynamic stochastic general equilibrium (DSGE) models and compare this to extended versions which consider alternative expectation formation assumptions and financial frictions. We also show how standard model features, such as price and wage rigidities, contribute to forecasting performance. It turns out that neither alternative expectation formation behaviour nor financial frictions can systematically increase the forecasting performance of basic DSGE models. Financial frictions improve forecasts only during periods of financial crises. However, traditional price and wage rigidities systematically help to increase the forecasting performance.
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